Quarterly report pursuant to Section 13 or 15(d)

Available-for-Sale Securities, at Fair Value (Tables)

v3.21.2
Available-for-Sale Securities, at Fair Value (Tables)
6 Months Ended
Jun. 30, 2021
Debt Securities, Available-for-sale [Abstract]  
Debt Securities, Available-for-sale
The following table presents the Company’s AFS investment securities by collateral type as of June 30, 2021 and December 31, 2020:
(in thousands) June 30,
2021
December 31,
2020
Agency:
Federal National Mortgage Association $ 6,190,275  $ 11,486,658 
Federal Home Loan Mortgage Corporation 1,390,345  2,837,103 
Government National Mortgage Association 253,867  314,130 
Non-Agency 5,559  13,031 
Total available-for-sale securities $ 7,840,046  $ 14,650,922 
Schedule of Available-for-sale Securities Reconciliation
The following tables present the amortized cost and carrying value of AFS securities by collateral type as of June 30, 2021 and December 31, 2020:
June 30, 2021
(in thousands) Principal/ Current Face Un-amortized Premium Accretable Purchase Discount Amortized Cost Allowance for Credit Losses Unrealized Gain Unrealized Loss Carrying Value
Agency:
Principal and interest
$ 6,812,303  $ 305,809  $ (13) $ 7,118,099  $ —  $ 291,473  $ (341) $ 7,409,231 
Interest-only 4,274,783  419,475  —  419,475  (15,154) 30,561  (9,626) 425,256 
Total Agency 11,087,086  725,284  (13) 7,537,574  (15,154) 322,034  (9,967) 7,834,487 
Non-Agency
1,236,217  8,794  (32) 10,135  (2,611) 51  (2,016) 5,559 
Total $ 12,323,303  $ 734,078  $ (45) $ 7,547,709  $ (17,765) $ 322,085  $ (11,983) $ 7,840,046 
December 31, 2020
(in thousands) Principal/ Current Face Un-amortized Premium Accretable Purchase Discount Amortized Cost Allowance for Credit Losses Unrealized Gain Unrealized Loss Carrying Value
Agency:
Principal and interest
$ 13,103,355  $ 605,253  $ (14) $ 13,708,594  $ —  $ 629,079  $ (420) $ 14,337,253 
Interest-only 3,649,556  315,876  —  315,876  (17,889) 15,680  (13,029) 300,638 
Total Agency 16,752,911  921,129  (14) 14,024,470  $ (17,889) 644,759  (13,449) 14,637,891 
Non-Agency
2,095,365  16,408  (36) 18,705  (4,639) 109  (1,144) 13,031 
Total $ 18,848,276  $ 937,537  $ (50) $ 14,043,175  (22,528) $ 644,868  $ (14,593) $ 14,650,922 
Debt Securities, Available-for-sale, Weighted Average Life Classifications
The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of June 30, 2021:
June 30, 2021
(in thousands)  Agency  Non-Agency  Total
< 1 year $ 4,839  $ —  $ 4,839 
≥ 1 and < 3 years 117,835  5,559  123,394 
≥ 3 and < 5 years 4,710,108  —  4,710,108 
≥ 5 and < 10 years 3,000,643  —  3,000,643 
≥ 10 years 1,062  —  1,062 
Total $ 7,834,487  $ 5,559  $ 7,840,046 
Debt Securities, Available-for-sale, Allowance for Credit Losses
The following tables present the changes for the three and six months ended June 30, 2021 and 2020 in the allowance for credit losses on Agency and non-Agency AFS securities:
Three Months Ended June 30, 2021 Six Months Ended June 30, 2021
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
$ (16,699) $ (1,471) $ (18,170) $ (17,889) $ (4,639) $ (22,528)
Additions on securities for which credit losses were not previously recorded
(11) (3,850) (3,861) (31) (3,850) (3,881)
Decrease (increase) on securities with previously recorded credit losses
(297) (3,234) (3,531) (2,137) (239) (2,376)
Write-offs
1,853  5,944  7,797  4,903  6,117  11,020 
Allowance for credit losses at end of period
$ (15,154) $ (2,611) $ (17,765) $ (15,154) $ (2,611) $ (17,765)
Three Months Ended June 30, 2020 Six Months Ended June 30, 2020
(in thousands) Agency Non-Agency Total Agency Non-Agency Total
Allowance for credit losses at beginning of period
$ (32,786) $ (8,604) $ (41,390) $ —  $ (244,876) $ (244,876)
Additions on securities for which credit losses were not previously recorded
(10) (295) (305) (32,796) (11,404) (44,200)
Reductions for securities sold
—  —  —  —  246,792  246,792 
Decrease (increase) on securities with previously recorded credit losses
2,162  (3,050) (888) 2,162  (4,793) (2,631)
Write-offs
—  —  —  —  4,867  4,867 
Recoveries of amounts previously written off
—  —  —  —  (2,535) (2,535)
Allowance for credit losses at end of period
$ (30,634) $ (11,949) $ (42,583) $ (30,634) $ (11,949) $ (42,583)
Debt Securities, Available-for-sale, in Unrealized Loss Positions
The following tables present the components comprising the carrying value of AFS securities for which an allowance for credit losses has not been recorded by length of time that the securities had an unrealized loss position as of June 30, 2021 and December 31, 2020 (subsequent to the adoption of Topic 326). At June 30, 2021 and December 31, 2020, the Company held 792 and 823 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 21 and 13 were in an unrealized loss position for less than twelve consecutive months and 0 and 13 were in an unrealized loss position for more than twelve consecutive months, respectively.
June 30, 2021
Unrealized Loss Position for
Less than 12 Months 12 Months or More Total
(in thousands) Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses
Agency $ 78,403  $ (4,655) $ —  $ —  $ 78,403  $ (4,655)
Non-Agency —  —  —  —  —  — 
Total $ 78,403  $ (4,655) $ —  $ —  $ 78,403  $ (4,655)
December 31, 2020
Unrealized Loss Position for
Less than 12 Months 12 Months or More Total
(in thousands) Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses
Agency $ 367,660  $ (1,705) $ 24,006  $ (4,454) $ 391,666  $ (6,159)
Non-Agency —  —  —  —  —  — 
Total $ 367,660  $ (1,705) $ 24,006  $ (4,454) $ 391,666  $ (6,159)
Schedule of Realized Gain (Loss) on Sales of Debt Securities, Available-for-sale The following table presents details around sales of AFS securities during the three and six months ended June 30, 2021 and 2020:
Three Months Ended Six Months Ended
June 30, June 30,
(in thousands) 2021 2020 2021 2020
Proceeds from sales of available-for-sale securities $ 2,549,602  $ 1,383,118  $ 4,600,545  $ 16,969,870 
Amortized cost of available-for-sale securities sold (2,532,087) (1,326,218) (4,516,832) (17,947,686)
Total realized gains (losses) on sales, net $ 17,515  $ 56,900  $ 83,713  $ (977,816)
Gross realized gains $ 46,768  $ 57,414  $ 112,985  $ 280,885 
Gross realized losses (29,253) (514) (29,272) (1,258,701)
Total realized gains (losses) on sales, net $ 17,515  $ 56,900  $ 83,713  $ (977,816)